本文主要探討亞洲國家的ESG(永續發展的衡量指標)表現與主權債殖利率的關係。本文採用的樣本有韓國、日本、香港、新加玻、澳洲、中國、馬來西亞、菲律賓、印尼、泰國、印度和以色列等12個國家，樣本期間為2005年至2015年。本文使用主成分分析的方式建立ESG指標衡量國家的ESG表現。本文發現亞洲國家的ESG表現會對主權債殖利率有著顯著地負面影響。這個結果顯示ESG表現確實會反映出國家對經濟永續發展的承諾，使投資人確信ESG表現良好的國家在未來償還債務的機率較高。因此讓投資人願意為這些國家所發行的債券支付更高的價格。此外，本文近一步發現已開發國家的ESG表現對主權債殖利率造成的影響會小於新興國家。這個結果表明主權債投資人在投資新興市場時，會較關注新興國家的ESG表現。

This study investigates whether a country-level performance of ESG (Environmental, Social and Governance) relates to its issued sovereign bond yield. My sample consists of 12 countries, including, Korea, Japan, Australia, Singapore, Hong Kong, Israel, India, China, Indonesia, Malaysia, Philippines and Thailand and the sample period is from 2005 to 2015. I use Principal components analysis (PCA) to construct ESG index, in which I collect indicators across 15 dimensions provided in the source of Data Bank. I find that a country-level performance of ESG is negatively associated with its sovereign bond yields. This finding indicates that sovereign bond investors take into account country-wise ESG performance and are willing to pay higher price for bonds issued by the countries with better ESG performance. The underlying economic mechanism may be because investors consider that such countries improve the commitments to repay its debt. I also find that the negative relationship between a country-level ESG performance and its sovereign bond yields is less important for developed countries compared to the impact for emerging countries. This finding seems to suggest that sovereign bond investors pay more attention about sustainability when they invest in emerging countries.

CONTENTS
1. Introduction.................................1
2. Literature Review and Hypothesis.............2
3. Data.........................................4
4. Empirical Method.............................8
5. Empirical Results............................9
6. Conclusion..................................11
References.....................................12
Appendix.......................................15

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